Author: Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Three Essays in Commodity Futures Markets
Author: Three Essays on Commodity Futures and Options Markets
Author: Na JinIssues on Asset Storability and Commodity Futures Markets
Author: Jian YangThree Essays on Futures
Author: Lawrence Francis PohlmanPublisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 328
Book Description
Three Essays in Commodity Futures and Options Price Performance
Author: Marin Boz̆ićThree Essays on Market Microstructure and Price Formation in Agricultural Commodity Futures
Author: Steffen VolkenandThree Essays on Volatility and Information Content of Futures Markets
Author: Pavel TeterinPublisher:
ISBN:
Category : Electronic dissertations
Languages : en
Pages : 162
Book Description
This dissertation includes three essays on volatility and information content of futures markets. This work gives new insight into the structural changes in volatility, the information content of global interest rate futures, and the time-series behavior of the volatility term structure. The first essay examines structural volatility shifts U.S. crude oil and corn futures markets. In trying to capture the interrelations present in the two markets, we take seriously the importance of properly modelling smooth structural shifts. We incorporate trigonometric functions into a multivariate GARCH model of crude and corn futures prices to obtain the empirical volatility response functions and the time-varying correlation coefficient. Although both short-term and long-term futures exhibit shifts in the mean and volatility, volatility shifts do not manifest themselves in the same manner for different maturities. In the second essay, we investigate the term structure of interest rate futures in the US, Eurozone, United Kingdom, and Switzerland and empirically document five unique results. First, implied USD futures rates contain significantly different information compared to USD spot rates. Second, the four interest rate futures contracts contain similar information that is driven by one common component. Third, implied futures rates contain more information regarding future rate changes than return premiums. Fourth, information shifts are associated with macroeconomic conditions and central bank policies. Finally, significant information shifts occurred during the 2013-2015 time frame, which were greater than those of the great recessionary period of 2008-2009. The third essay focuses on the Samuelson hypothesis, a proposition that futures volatility declines with maturity. We study the strength of the Samuelson effect over time in ten most actively traded U.S. commodity futures. Capturing the dynamics of the futures volatility term structure with three factors, we show that in most markets the slope factor is strongly negative in certain periods and only weakly or not at all negative in other periods. Consistent with the linkage between carry arbitrage and the Samuelson hypothesis, we find that high inventory levels correspond to a flatter volatility term structure. We also find that a flatter volatility term structure corresponds to lower absolute futures term premiums.
Three Essays on Commodity Risk Management
Author: Shi WeiPublisher:
ISBN: 9780549126591
Category :
Languages : en
Pages : 114
Book Description
This dissertation consists of three papers on risk management with empirical applications for commodity markets. The first two papers analyze selective hedging, where risk managers have views on future market conditions and sometimes hedge selectively based on these views. I develop two Bayesian optimal hedging models based on the Bayesian portfolio optimization framework. The Bayesian approach is chosen because it jointly considers subjective views and parameter estimation risk. The first paper considers only subjective views and estimation risk regarding the expectation vector of asset returns, while the second paper extends the framework to the covariance matrix of asset returns. Numerical examples in these studies show that subjective views can have a substantial impact on risk managers' hedging decisions and that the impact is most evident when the hedger speculates on market price direction and/or is pessimistic about the effectiveness of hedging, i.e., a breakdown in the correlation among different markets. Overall, the Bayesian optimal hedging models not only help explain the large cross-sectional and time-series variation in hedging positions often observed in practice, but also provide risk managers with a theoretically intuitive yet quantitatively rigorous tool to blend their views on market conditions with a "market-wide" or "firm-wide" consensus in determining optimal hedging positions. The third paper estimates the cost (i.e., risk premium) of pre-harvest forward contracting for wheat in Illinois and Kansas. Given the similarities between forward and futures markets, regression models used for testing the risk premium hypothesis in futures markets are applied to forward markets. Cost is estimated for both unconditional and conditional levels. The empirical results show that the average cost of forward contracting is higher than that of futures hedging in both states and cost varies systematically in relation to the level and volatility of forward prices.
Three Essays on Commodity Markets
Author: Panayotis Nicholas VarangisPublisher:
ISBN:
Category :
Languages : en
Pages : 216
Book Description
Three Essays on Commodity Markets Under Uncertainty
Author: Marko Pekka LehtimäkiPublisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 294
Book Description